Jan Baldeaux : Citation Profile


Are you Jan Baldeaux?

University of Technology Sydney
University of Technology Sydney

3

H index

1

i10 index

29

Citations

RESEARCH PRODUCTION:

1

Articles

10

Papers

RESEARCH ACTIVITY:

   3 years (2010 - 2013). See details.
   Cites by year: 9
   Journals where Jan Baldeaux has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 3 (9.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba957
   Updated: 2018-09-15    RAS profile: 2013-06-27    
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Relations with other researchers


Works with:

Platen, Eckhard (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jan Baldeaux.

Is cited by:

Platen, Eckhard (4)

F. Saporito, Yuri (1)

Pascucci, Andrea (1)

McWalter, Thomas (1)

Goutte, Stéphane (1)

Cites to:

Platen, Eckhard (23)

Hulley, Hardy (3)

Itkin, Andrey (3)

DA FONSECA, José (3)

Bates, Robert (2)

Markowitz, Harry (2)

Fang, Fang (2)

Tebaldi, Claudio (2)

Scholes, Myron (2)

Ielpo, Florian (2)

Oosterlee, Cornelis (2)

Main data


Where Jan Baldeaux has published?


Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney6
Papers / arXiv.org4

Recent works citing Jan Baldeaux (2018 and 2017)


YearTitle of citing document
2017Pricing VIX Derivatives With Free Stochastic Volatility Model. (2017). Chern, Shane ; Lin, Wei. In: Papers. RePEc:arx:papers:1703.06020.

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2017Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options. (2017). F. Saporito, Yuri ; Fouque, Jean-Pierre. In: Papers. RePEc:arx:papers:1706.00873.

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2018Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts. (2018). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph . In: Papers. RePEc:arx:papers:1801.07044.

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2017Pure jump models for pricing and hedging VIX derivatives. (2017). Li, Jing ; Zhang, Gongqiu . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:28-55.

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2018Detecting money market bubbles. (2018). Platen, Eckhard ; Ignatieva, Katja ; Baldeaux, Jan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:369-379.

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2018Volatility Is Log-Normal—But Not for the Reason You Think. (2018). Tegner, Martin ; Poulsen, Rolf. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:46-:d:143022.

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2017Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018.

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2017Modelling VIX and VIX derivatives with reducible diffusions. (2017). Tong, Zhigang. In: International Journal of Bonds and Derivatives. RePEc:ids:ijbder:v:3:y:2017:i:2:p:153-175.

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Works by Jan Baldeaux:


YearTitleTypeCited
2011Exact Simulation of the 3/2 Model In: Papers.
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paper4
2012Quasi-Monte Carlo methods for the Heston model In: Papers.
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paper1
2012Quasi-Monte Carol Methods for the Heston Model.(2012) In: Research Paper Series.
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This paper has another version. Agregated cites: 1
paper
2012Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model In: Papers.
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paper15
2012Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model.(2012) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2012Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods In: Papers.
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paper0
2010Static Replication of Forward-Start Claims and Realized Variance Swaps In: Applied Mathematical Finance.
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article2
2012Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition In: Research Paper Series.
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paper0
2012A Tractable Model for Indices Approximating the Growth Optimal Portfolio In: Research Paper Series.
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paper5
2013Credit Derivative Evaluation and CVA under the Benchmark Approach In: Research Paper Series.
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paper0
2013Liability Driven Investments under a Benchmark Based Approach In: Research Paper Series.
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paper2

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